Dynamic Factor Models with Stochastic Volatility
نویسنده
چکیده
I introduce posterior simulation methods for a dynamic latent factor model featuring both mean and variance factors. The cross-sectional dimension may be large, so the methods are applicable to data-rich environments. I apply the new methods in two empirical applications. The first involves a panel of 10 currencies, with daily log returns observed over a decade; the second, a panel of 134 real activity and financial indicators observed monthly from 1959 to 2015.
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